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traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …
Persistent link: https://www.econbiz.de/10011412294
highly attractive skewness-kurtosis profi le. In the presence of transactions costs that depend on an option's moneyness and … sensitivities to chosen risk factors. I test these portfolios empirically and find that options signifi cantly improve the risk …
Persistent link: https://www.econbiz.de/10010337963
the options market and the class of valuation problem being undertaken. Various examples are studied in detail, with exact …
Persistent link: https://www.econbiz.de/10008797695
This paper studies the term structure implications of a simple structural economy in which the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reflect a premium for ambiguity, which is observationally distinct from the risk...
Persistent link: https://www.econbiz.de/10003961717
We analyze the impact of funding costs and margin requirements on prices of index options traded on the CBOE. We …
Persistent link: https://www.econbiz.de/10009375107
We propose a novel time-changed L évy LIBOR market model for the joint pricing of caps and swaptions. The time changes are split into three components. The first component allows us to match the volatility term structure, the second generates stochastic volatility, and the third one...
Persistent link: https://www.econbiz.de/10009558358
We consider modeling errors in the hedging of a portfolio composed from BBB-rated bonds. By doing this, we open a new perspective to the debate on the relationship between corporate bonds and CDS spreads. We find that in ordinary times the added value of indexlinked credit derivatives is very...
Persistent link: https://www.econbiz.de/10009558422
We develop statistical methods to detect informed trading in options markets. We apply these methods to 31 companies … tends to cluster prior to certain events, takes place more in put than call options, generates easily large gains exceeding … millions, is not contemporaneously reflected in the underlying stock price, involves around the money options during calm times …
Persistent link: https://www.econbiz.de/10009314008
and call options are analyzed for 19 companies in the banking and insurance sectors from January 1996 to September 2009 … activities in put and call options. The realized gains amount to several hundreds of millions of dollars. Several cases are … discussed in detail. options trades, open interest, informed trading, false discovery rate …
Persistent link: https://www.econbiz.de/10009314012
While CBOE's VIX index is widely acknowledged as a broad-based investor “fear gauge” for its strong inverse relationship with major equity indexes, one cannot necessarily expect it to translate to the level of future turbulence or investor risk aversion in fixed-income markets. Indeed,...
Persistent link: https://www.econbiz.de/10009750617